Hiroshi Yamada

Last Updated :2023/09/06

Affiliations, Positions
Graduate School of Humanities and Social Sciences, Professor
E-mail
yamadahiroshima-u.ac.jp

Basic Information

Academic Degrees

  • Ph.D. in Economics, University of Tsukuba
  • M.A., University of Tsukuba
  • B.A., Hiroshima University

Research Fields

  • Social sciences;Economics;Economic statistics
  • Social sciences;Economics;Economic policy

Research Keywords

  • ECONOMIC TIME SERIES

Educational Activity

Course in Charge

  1. 2023, Liberal Arts Education Program1, 4Term, Fundamental Data Science
  2. 2023, Liberal Arts Education Program1, 1Term, Introductory Seminar for First-Year Students
  3. 2023, Undergraduate Education, 2Term, Econometrics
  4. 2023, Graduate Education (Master's Program) , 1Term, Econometrics 1
  5. 2023, Graduate Education (Master's Program) , 1Term, Special Exercises on Informatics and Data Science A
  6. 2023, Graduate Education (Master's Program) , 2Term, Special Exercises on Informatics and Data Science A
  7. 2023, Graduate Education (Master's Program) , 3Term, Special Exercises on Informatics and Data Science B
  8. 2023, Graduate Education (Master's Program) , 4Term, Special Exercises on Informatics and Data Science B
  9. 2023, Graduate Education (Master's Program) , 3Term, Special Exercises on Informatics and Data Science B
  10. 2023, Graduate Education (Master's Program) , 4Term, Special Exercises on Informatics and Data Science B
  11. 2023, Graduate Education (Master's Program) , Academic Year, Special Study on Informatics and Data Science

Research Activities

Academic Papers

  1. HPX Filter: A Hybrid of Hodrick-Prescott Filter and Multiple Regression, Studies in Nonlinear Dynamics and Econometrics, 20230626
  2. A Unified Perspective on Some Autocorrelation Measures in Different Fields: A Note, Open Mathematics, 21(1), 20220542, 20230401
  3. l_{1} Common Trend Filtering: An Extension, Journal of Statistical Computation and Simulation, 93(4), 493-512, 20221123
  4. Quantile Regression Version of Hodrick-Prescott Filter, Empirical Economics, 64, 1631-1645, 20220822
  5. ★, Geary's c and Spectral Graph Theory, Mathematics, 9(19), Article 2465, 20211003
  6. ★, Trend Extraction from Economic Time Series with Missing Observations by Generalized Hodrick-Prescott Filters, Econometric Theory, 38(3), 419-453, 20210611
  7. ★, l_{1} Common Trend Filtering, Computational Economics, 59, 1005-1025, 20210411
  8. A Pioneering Study on Discrete Cosine Transform, Communications in Statistics – Theory and Methods, 51(15), 5364-5368, 20201027
  9. Principle of Duality in Cubic Smoothing Spline, Mathematics, 8(10), Article 1839, 20201019
  10. ★, A Smoothing Method That Looks Like the Hodrick-Prescott Filter, Econometric Theory, 36(5), 961-981, 20200323
  11. A Note on Whittaker-Henderson Graduation: Bisymmetry of the Smoother Matrix, Communications in Statistics – Theory and Methods, 20190123
  12. An Explicit Formula for the Smoother Weights of the Hodrick-Prescott Filter, Studies in Nonlinear Dynamics and Econometrics, 23(5), 1-10, 20190123
  13. Explicit Formulas for the Smoother Weights of the Whittaker-Henderson Graduation of Order 1, Communications in Statistics – Theory and Methods, 48(12), 3153-3161, 20181117
  14. A Modification of the Whittaker-Henderson Method of Graduation, Communications in Statistics – Theory and Methods, 48(15), 3795-3800, 20181030
  15. Some Results on l_{1} Polynomial Trend Filtering, Econometrics, 6(3), Article 33, 20180710
  16. A New Method for Specifying the Tuning Parameter of l_{1} Trend Filtering, Studies in Nonlinear Dynamics and Econometrics, 22(4), 1-8, 20180501
  17. Several Least Squares Problems Related to the Hodrick-Prescott Filtering, Communications in Statistics – Theory and Methods, 47(5), 1022-1027, 20180104
  18. A Trend Filtering Method Closely Related to l_{1} Trend Filtering, Empirical Economics, 55(4), 1413-1423, 2018
  19. Why Does the Trend Extracted by the Hodrick-Prescott Filtering Seem to be More Plausible Than the Linear Trend?, Applied Economics Letters, 25(2), 102-105, 20170317
  20. The Frisch–Waugh–Lovell theorem for the lasso and the ridge regression, Communications in Statistics - Theory and Methods, 46(21), 10897-10902, 20161102
  21. Estimating the Trend in US Real GDP Using the l_{1} Trend Filtering, Applied Economics Letters, 24(10), 713-716, 20160928
  22. A small but practically useful modification to the Hodrick–Prescott filtering: A note, Communications in Statistics - Theory and Methods, 46(17), 8430-8434, 20160811
  23. Measuring the US NAIRU as a step function, Empirical Economics, 51(4), 1679-1688, 20160104
  24. Ridge Regression Representations of the Generalized Hodrick-Prescott Filter, Journal of the Japan Statistical Society, 45(2), 121-128, 201512
  25. Selecting the Tuning Parameter of the l_{1} Trend Filter, Studies in Nonlinear Dynamics and Econometrics, 20(1), 97-105, 20150610
  26. ★, SOME THEORETICAL AND SIMULATION RESULTS ON THE FREQUENCY DOMAIN CAUSALITY TEST, ECONOMETRIC REVIEWS, 33(8), 936-947, 20141117
  27. Estimating the time-varying NAIRU and the Phillips curve slope simultaneously: a note, APPLIED ECONOMICS LETTERS, 21(15), 1057-1059, 20141013
  28. ★, When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices, JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 42, 193-207, 20140430
  29. ★, Japan's output gap estimation and l_{1} trend filtering, EMPIRICAL ECONOMICS, 45(1), 81-88, 20130801
  30. A Note on Bandpass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators, Journal of Business Cycle Measurement and Analysis, 2011(2), 105-109, 20120105
  31. A comparison of two alternative composite leading indicators for detecting Japanese business cycle turning points, Applied Economics Letters, 17, 875-879, 20100614
  32. An Evaluation of the Japanese Leading Indicators, Journal of Business Cycle Measurement and Analysis, 3(2), 217-233, 20070501
  33. Nonlinear Co-trending and the Fisher Relation in Japan: A Note, Applied Financial Economics Letters, 1(5), 285-287, 20050301
  34. Wavelet-based beta estimation and Japanese industrial stock prices, APPLIED ECONOMICS LETTERS, 12(2), 85-88, 20050210
  35. Do Stock Prices Contain Predictive Information on Business Turning Points? A Wavelet Analysis, Applied Financial Economics Letters, 1(1), 19-23, 20050101
  36. Some Monte Carlo Evidence on the Hypothesis Tsting for the Mean of the Stationary Vector Autoregressive Process, MODSIM 2003 Proceedings, 1251-1256, 20030701
  37. Real Interest Rate Equalization: Some Empirical Evidence from the Three Major World Financial Markets, Applied Economics, 34(16), 2069-2073, 20021101
  38. ★, On the linkage of real interest rates between the US and Canada: some additional empirical evidence, Journal of International Financial Markets, Institutons and Money, 12(3), 279-289, 20020701
  39. M2 Demand Relation and Effective Exchange Rate in Japan: A Cointegration Analysis, Applied Economics Letters, 7(4), 229-232, 20000401
  40. Empirical Evidence for the Export Promotion Strategies, Applied Economics Letters, 6(12), 775-778, 19991201
  41. ★, Inference in Possibly Integrated Vector Autoregressive Models: Some Finite Sample Evidence, Journal of Econometrics, 86(1), 55-95, 19980901
  42. A Note on the Causality between Export and Productivity: An Empirical Re-examination, Economics Letters, 61(1), 111-114, 19980101
  43. A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression, Economics Letters, 56(1), 27-39, 19970901

Publications such as books

  1. 2003/07, Co-trending: A Statistical System Analysis of Economic Trends, Springer-Verlag Tokyo, 2003, 07, Scholarly Book, Joint work, Michio Hatanaka Hiroshi Yamada, 115

Invited Lecture, Oral Presentation, Poster Presentation

  1. A Smoothing Method That Looks Like the Hodrick–Prescott Filter, Hiroshi Yamada, 2020 Nanyang Econometrics Conference, 2020/01/17, With Invitation, English, Division of Economics, School of Social Sciences, Nanyang Technological University, Singapore
  2. Ten Things We Should Know About Graph Laplacian Penalized Smoothing, Hiroshi Yamada, SWET2019, 2019/08/09, Without Invitation, Japanese
  3. Whittaker-Henderson Graduation and Graph Spectral Filtering, Hiroshi Yamada, HSI2019—5th Hitotsubashi Summer Institute, 2019/08/04, With Invitation, English, Hitotsubashi University, Hitotsubashi University
  4. Some properties of the quantile regression version of Hodrick-Prescott filtering, Hiroshi Yamada, The 3rd International Conference on Econometrics and Statistics (EcoSta 2019), 2019/06/27, Without Invitation, English, National Chung Hsing University, Taiwan
  5. Whittaker-Henderson Graduation and Graph Spectral Filtering, Hiroshi Yamada, SH3 Conference on Econometrics, 2019/03/29, Without Invitation, English, Singapore Management University, Singapore Management University
  6. Whittaker-Henderson Graduation, Discrete Cosine Transform and Graph Spectral Filtering, Hiroshi Yamada, BK21PLUS Korean Economic Group International Conference on Econometrics, 2018/10/26, With Invitation, English, Korea University, Seoul
  7. Whittaker–Henderson Graduation, Discrete Cosine Transform and Graph Spectral Filtering, Hiroshi Yamada, York - Hiroshima Joint Symposium 2018 Statistical Penalisation Methods and Dimension Reduction Methods for Economic and Financial Analysis, 2018/09/24, Without Invitation, English, York University and Hiroshima University, York University, UK
  8. Bridge Filtering, Hiroshi Yamada, HU-HUE-SMU Tripartite Conference on Econometrics, 2018/03/29, Without Invitation, English, Singapore Management University, Singapore Management University, Singapore
  9. Quantile Hodrick-Prescott Filtering, Hiroshi Yamada, Kansai Keiryo Keizaigaku Kenkyukai (KKKK), 2017/01/07, Without Invitation, English, Hiroshima University
  10. Quantile Hodrick-Prescott Filtering, Hiroshi Yamada, HU-CU Joint Research Workshop on Applied Economics, 2016/12/05, Without Invitation, English, Hiroshima University, Hiroshima University
  11. Qunatile Hodrick-Prescott Filtering, Hiroshi Yamada, 2016 Japan-Korea Allied Conference in Econometrics, 2016/11/19, Without Invitation, English, Hitotsubashi University
  12. Qunatile Hodrick-Prescott Filtering, Hiroshi Yamada, HOKKAIDO INTERNATIONAL SYMPOSIUM: Recent Developments of Statistical Theory in Statistical Science, 2016/10/26, Without Invitation, English, Hokkaido University
  13. Pure l1 Trend Filtering, Hiroshi Yamada, CIRET 2016, 2016/09/16, Without Invitation, English, Copenhagen
  14. Whittaker-Henderson Graduation Provides BLUP, Hiroshi Yamada, 2016 HU-HUE-SMU Tripartite Conference, 2016/03/24, Without Invitation, English, Singapore Management University, Singapore
  15. A Small But Practically Useful Modification to the l1 Trend Filtering, Hiroshi Yamada, 12th International Symposium on Econometric Theory and Applications, 2016/02/17, Without Invitation, English, Hamilton, New Zealand
  16. Ridge Regression for Extracting the Hodrick-Prescott Cycle Directly and Several Related Results, Hiroshi Yamada, Friday Seminar, 2015/09/04, Without Invitation, Japanese, Graduate School of Science, Hiroshima University
  17. Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, 2015 HEU-HU-SMU Tripartite Conference, 2015/03/27, Without Invitation, English, Singapore
  18. A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, 2014 Hitotsubashi-Sogang Conference on Econometrics, 2014/12/13, Without Invitation, English, Seoul, Republic of Korea
  19. A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, Workshop in Economics between Faculty of Economics, Chulalongkorn University an Faculty of Economics, Hiroshima University, 2014/09/25, Without Invitation, English, Bangkok, Thailand
  20. Estimating the Time-Varying NAIRU and the Phillips Curve Slope Simultaneously, Hiroshi Yamada, SMU-NTU-HUE-HU International Conference on Economics and Econometrics, 2014/03/25, Without Invitation, English, Hiroshima, Japan

External Funds

Acceptance Results of Competitive Funds

  1. KAKENHI, 2023, 2025
  2. KAKENHI, 2020, 2022
  3. KAKENHI, 2016, 2020
  4. KAKENHI, 2015, 2017
  5. KAKENHI, 2010, 2014
  6. KAKENHI, Business Cycle Analysis Using Band-Pass Filter, 2007, 2009
  7. KAKENHI, Developing New Business Cycle Composite Indicators Using Wavelet Analysis, 2005, 2006
  8. KAKENHI, 2002, 2003
  9. KAKENHI, Analysis of stationary ans non-stationary economic time series with structural changes, 2002, 2004
  10. 2014/01/28, 2015/03/31
  11. 2011

Social Activities

History as Peer Reviews of Academic Papers

  1. 2023, Empirical Economics, Others, Reviewer, 1
  2. 2023, Journal of Applied Econometrics, Others, Reviewer, 1
  3. 2023, Applied Economics Letters, Others, Reviewer, 1
  4. 2021, Journal of International Money and Finance, Others, Reviewer, 1
  5. 2021, Journal of Econometrics, Others, Reviewer, 1
  6. 2020, Studies in Nonlinear Dynamics and Econometrics, Others, Referee, 1
  7. 2019, Communications in Statistics – Theory and Methods, Others, Referee, 1
  8. 2018, Econometric Reviews, Others, Referee, 1
  9. 2016, Journal of Applied Statistics, Others, Referee, 1
  10. 2016, Econometrics and Statistics, Others, Referee, 2
  11. 2016, Empirical Economics, Others, Referee, 1
  12. 2014, Applied Economics Letters, Others, Referee, 1